Fitch Ratings today has released an updated version of its ''Mexican RMBS Performance Update Report''. This report provides an update to Fitch''s review of the Mexican residential mortgage-backed securities (RMBS) market and includes performance data for each transaction as of July 31, 2009.
The economic slowdown in Mexico continues to impact the performance of Mexican RMBS. Delinquency levels have continued to rise across most transactions in Fitch''s portfolio. Macroeconomic issues, such as unemployment, are affecting the overall portfolio. While collateral performance has deteriorated, Fitch believes the capital structures for many of the transactions remain resilient. Thus far, Fitch has maintained its original ratings on 70% of the portfolio.
During 2009, Fitch has downgraded 21 RMBS-related tranches and two bonds backed by RMBS, while four tranches remain on Rating Watch Negative. The negative rating actions are due to the large increase in delinquencies observed during the past 12 months in the Mexican RMBS market. Fitch has assigned Rating Outlooks to 71 Mexican RMBS tranches, of which 46 were assigned a Stable Outlook and 25 were assigned a Negative Outlook.
This report summarizes the general performance of more than 80 tranches rated by Fitch; in addition, this update provides further loan-by-loan analysis based on a subset of 67,000 loans.
The loan-by-loan analysis confirmed trends Fitch detailed in previous Mexican RMBS performance reports, such as that older vintages have performed better than 2007 and 2008 vintages, peso loans have performed better than UDI loans, and Sofoles-originated transactions have performed worse than other originators. In addition to these previous conclusions, the analysis also provided the following insights:
--Loan to value (LTV) is one of the main drivers of payment behavior. Loans with original LTV (OLTV) lower than 60% perform almost four times better than loans with OLTV greater than 80%, in terms of 180 days or more delinquency (1.59% as compared to 6.22%).
--Segment of income - determined by property appraisal value - is a helpful explanatory variable of performance. Loans granted to the social/economic housing segment (property value of up to MXP412,000) perform worse than the rest of the segments, while residential loans (property value greater than MXP1.03 million) perform best.
--Co-financed loans (loan portion granted by Sofol or a bank) and ''Apoyo'' loans perform better than loans without any kind of Infonavit support. It should be noted that this analysis was done using a reduced sample of 41,400 mortgage loans.
The two states with significant concentration and the worst performance (Quintana Roo and Baja California Norte) are two of the three states that have suffered the largest increases in unemployment. According to data provided by Instituto Nacional de Estadistica y Geografia (INEGI), unemployment rates in Quintana Roo rose to 5.28% in second quarter-2009 (2Q''09) from 2.66% in 2Q''08, while in Baja California Norte the rate grew to 5.84% from 2.79% over the same period.
New issues of Fitch''s ''Mexican RMBS Performance Update Report'' will continue to be published and can be found on the Fitch Ratings web site at ''www.fitchratings.com'' under the following headers:
Structured Finance then International then Special Reports
Fitch''s rating definitions and the terms of use of such ratings are available on the agency''s public site, ''www.fitchratings.com''. Published ratings, criteria and methodologies are available from this site, at all times. Fitch''s code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the ''Code of Conduct'' section of this site.
Contacts:
Fitch Ratings
Roberto Guzman, 8399 9100, Monterrey
Eduardo
Dibildox, 8399 9100, Monterrey
Greg Kabance, 312-368-2052, Chicago
or
Media
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Email: brian.bertsch@fitchratings.com
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Email: cindy.stoller@fitchratings.com